I believe sets in NY are now technically supposed to have a fire-department representative if they are doing any haze. A permit is supposed to be obtained, regardless. This is seldom the case on smaller shoots, but there are regulations that are meant to be followed, mainly for the reasons Tom pointed out above.
I did an outdoor night shoot in Vancouver about four years ago, and we had an A-list talent walking through a hedge maze. Overhead crane backlighting a lot of haze in the maze. When she arrived on set, she asked the SFX guys to see the specifications and health/safety certification of the haze machines before she would continue with the shoot. The crewmember laughed a bit when asked for the paperwork, and preceded to discount her concerns. She got very serious, spouted-off a long list of reasons why it's important, and refused to shoot until she could talk with the producers and AD to get the proper paperwork on the haze we were using.
Long story short, the hazers were safe and approved, but all this to say that if an actor feels uncomfortable with atmosphere, they can (and have rights to) delay your shoot.